Understanding predictability

• 成果类型: Article
• 署名作者: Menzly, L; Santos, T; Veronesi, P
• 署名单位: University of Southern California; Columbia University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Chicago
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/379934
• 发表日期: 2004
• 页码: 1-47
• 关键词: habit formation; asset prices; risk premia; consumption; Dividends; equilibrium; valuation; returns; MODEL

摘要

We propose a general equilibrium model with multiple securities in which investors' risk preferences and expectations of dividend growth are time-varying. While time-varying risk preferences induce the standard positive relation between the dividend yield and expected returns, time-varying expected dividend growth induces a negative relation between them. These offsetting effects reduce the ability of the dividend yield to forecast returns and eliminate its ability to forecast dividend growth, as observed in the data. The model links the predictability of returns to that of dividend growth, suggesting specific changes to standard linear predictive regressions for both. The model's predictions are confirmed empirically.